Merge branch 'QPR-12253_parSensiTBS' into 'master'

QPR-12253 changes TBS ONIBS interface

Closes QPR-12253

See merge request qs/oreswig!52

Author: pcaspers

OREAnalytics-SWIG/Python/test/test_instruments.py

@@ -340,7 +340,7 @@ def setUp(self):
         self.LIBOR_spread = 0.0
         self.swap = OvernightIndexedBasisSwap(self.type, self.nominal, self.schedule, 
                                               self.OIS_index, self.schedule, self.LIBOR_index,
-                                              self.OIS_spread, self.LIBOR_spread)
+                                              True, self.OIS_spread, self.LIBOR_spread)
         self.engine = DiscountingSwapEngine(self.OIS_term_structure)
         self.swap.setPricingEngine(self.engine)
 
@@ -362,13 +362,13 @@ def testConsistency(self):
         fair_OIS_spread = self.swap.fairOvernightSpread()
         swap = OvernightIndexedBasisSwap(self.type, self.nominal, self.schedule, 
                                          self.OIS_index, self.schedule, self.LIBOR_index,
-                                         fair_OIS_spread, self.LIBOR_spread)
+                                         True, fair_OIS_spread, self.LIBOR_spread)
         swap.setPricingEngine(self.engine)
         self.assertFalse(abs(swap.NPV()) > tolerance)
         fair_LIBOR_spread = self.swap.fairIborSpread()
         swap = OvernightIndexedBasisSwap(self.type, self.nominal, self.schedule, 
                                          self.OIS_index, self.schedule, self.LIBOR_index,
-                                         self.OIS_spread, fair_LIBOR_spread)
+                                         True, self.OIS_spread, fair_LIBOR_spread)
         swap.setPricingEngine(self.engine)
         self.assertFalse(abs(swap.NPV()) > tolerance)
 

QuantExt-SWIG/SWIG/qle_instruments.i

@@ -137,8 +137,10 @@ class OvernightIndexedBasisSwap : public Swap {
                                     const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                     const QuantLib::Schedule& iborSchedule,
                                     const ext::shared_ptr<IborIndex>& iborIndex,
+                                    const bool spreadOnShort = true,
                                     QuantLib::Spread oisSpread = 0.0,
-                                    QuantLib::Spread iborSpread = 0.0);
+                                    QuantLib::Spread iborSpread = 0.0,
+                                    const bool telescopicValueDates = false);
     QuantLib::Real nominal() const ;
     const QuantLib::Schedule& oisSchedule();
     const QuantLib::Schedule& iborSchedule();

QuantExt-SWIG/SWIG/qle_tenorbasisswap.i

@@ -79,6 +79,7 @@ class TenorBasisSwap : public Swap {
                    const QuantLib::Period& shortPayTenor,
                    QuantLib::DateGeneration::Rule rule = QuantLib::DateGeneration::Backward,
                    bool includeSpread = false,
+                   bool spreadOnShort = true,
                    QuantExt::SubPeriodsCoupon1::Type type = QuantExt::SubPeriodsCoupon1::Compounding);
     TenorBasisSwap(QuantLib::Real nominal,
                    bool payLongIndex,
@@ -89,6 +90,7 @@ class TenorBasisSwap : public Swap {
                    const ext::shared_ptr<IborIndex>& shortIndex,
                    QuantLib::Spread shortSpread,
                    bool includeSpread = false,
+                   bool spreadOnShort = true,
                    QuantExt::SubPeriodsCoupon1::Type type = QuantExt::SubPeriodsCoupon1::Compounding);
     QuantLib::Real nominal() const;
     bool payLongIndex();